Prediction of Chaotic Time Series with NARX Recurrent Dynamic Neural Networks
نویسنده
چکیده
The problem of chaotic time series prediction is studied in various disciplines now including engineering, medical and econometric applications. Chaotic time series are the output of a deterministic system with positive Liapunov exponent. A time series prediction is a suitable application for a neuronal network predictor. The NN approach to time series prediction is non-parametric, in the sense that it is not necessary to know any information regarding the process that generates the signal. It is shown that the recurrent NN (RNN) with a sufficiently large number of neurons is a realization of the nonlinear ARMA (NARMA) process. In this paper we present the nonlinear autoregressive network with exogenous inputs (NARX), the architecture, the training method, the input data to network, the simulation results. Key-Words: Chaotic Time Series, Hurst Coefficient, Prediction, Recurrent Neural Networks, NARX Model
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